Comparative Forecasting Performance of Symmetric and Asymmetric Conditional Volatility Models of an Exchange Rate

SSRN Electronic Journal ◽

10.2139/ssrn.339521 ◽

2002 ◽

Cited By ~ 1

Author(s):

Ercan Balaban

Keyword(s):

Exchange Rate ◽

Conditional Volatility ◽

Volatility Models ◽

Forecasting Performance

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Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate

Economics Letters ◽

10.1016/j.econlet.2003.09.028 ◽

2004 ◽

Vol 83 (1) ◽

pp. 99-105 ◽

Cited By ~ 28

Author(s):

Ercan Balaban

Keyword(s):

Exchange Rate ◽

Conditional Volatility ◽

Volatility Models ◽

Forecasting Performance

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Intrinsic Liquidity in Conditional Volatility Models

Annals of Economics and Statistics ◽

10.15609/annaeconstat2009.123-124.0225 ◽

2016 ◽

pp. 225

Author(s):

Serge Darolles ◽

Gaëlle Le Fol ◽

Christian Francq ◽

Jean-Michel Zakoïan

Keyword(s):

Conditional Volatility ◽

Volatility Models

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Coordination and Forecasting Performance in Exchange Rate Expectations: Evidence Across Time and Market Conditions

SSRN Electronic Journal ◽

10.2139/ssrn.1462782 ◽

2009 ◽

Author(s):

Francesca Pancotto ◽

Aline Muller

Keyword(s):

Exchange Rate ◽

Market Conditions ◽

Forecasting Performance ◽

Exchange Rate Expectations

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Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think

SSRN Electronic Journal ◽

10.2139/ssrn.231165 ◽

2000 ◽

Cited By ~ 3

Author(s):

Sassan Alizadeh ◽

Michael W. Brandt ◽

Francis X. Diebold

Keyword(s):

Exchange Rate ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Exchange Rate Dynamics ◽

Volatility Models

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Structural VAR and BVAR models of exchange rate determination: a comparison of their forecasting performance

Long Range Planning ◽

10.1016/0024-6301(95)94257-y ◽

1995 ◽

Vol 28 (4) ◽

pp. 122

Keyword(s):

Exchange Rate ◽

Structural Var ◽

Exchange Rate Determination ◽

Forecasting Performance

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The out-of-sample forecasting performance of exchange rate models when coefficients are allowed to change

Journal of International Money and Finance ◽

10.1016/0261-5606(89)90004-1 ◽

1989 ◽

Vol 8 (3) ◽

pp. 375-390 ◽

Cited By ~ 89

Author(s):

Garry J. Schinasi ◽

P.A.V.B. Swamy

Keyword(s):

Exchange Rate ◽

Forecasting Performance ◽

Out Of Sample ◽

Exchange Rate Models

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Selection Criteria in Regime Switching Conditional Volatility Models

Econometrics ◽

10.3390/econometrics3020289 ◽

2015 ◽

Vol 3 (2) ◽

pp. 289-316 ◽

Cited By ~ 5

Author(s):

Thomas Chuffart

Keyword(s):

Regime Switching ◽

Selection Criteria ◽

Conditional Volatility ◽

Volatility Models

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FORECASTING PERFORMANCE OF EXCHANGE RATE MODELS WITH HEAVY MOVING AVERAGE OPERATORS

FUZZY ECONOMIC REVIEW ◽

10.25102/fer.2019.02.01 ◽

2019 ◽

Vol 24 (02) ◽

Author(s):

L. Espinoza-Audelo ◽

E. Aviles-Ochoa ◽

E. Leon-Castro ◽

F. Blanco-Mesa

Keyword(s):

Exchange Rate ◽

Moving Average ◽

Forecasting Performance ◽

Exchange Rate Models

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THE LIRA/ EXCHANGE RATE: THE OUT OF SAMPLE FORECASTING PERFORMANCE OF STRUCTURAL MODELS OR, HOW TO BEAT THE RANDOM WALK

Dynamic Modelling and Control of National Economies 1989 ◽

10.1016/b978-0-08-037538-0.50063-0 ◽

1990 ◽

pp. 397-402

Author(s):

G. Gandolfo ◽

P.C. Padoan ◽

G. Paladino

Keyword(s):

Exchange Rate ◽

Random Walk ◽

Structural Models ◽

Forecasting Performance ◽

Out Of Sample

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Estimation of Conditional Volatility Models for Indian Stock Market

Asian Journal of Research in Business Economics and Management ◽

10.5958/2249-7307.2018.00045.2 ◽

2018 ◽

Vol 8 (5) ◽

pp. 33

Author(s):

N. Natchimuthu ◽

Karthigai Prakasam

Keyword(s):

Stock Market ◽

Conditional Volatility ◽

Volatility Models ◽

Indian Stock Market

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